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A Stable Recursive Algorithm for Evaluation of Ultimate Ruin Probabilities

Published online by Cambridge University Press:  29 August 2014

Marc Goovaerts  and
Florian de Vylder
Marc Goovaerts
Affiliation:
K.U. Leuven and U.C. Louvain, Belgium
Florian de Vylder
Affiliation:
K.U. Leuven and U.C. Louvain, Belgium
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Abstract

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Probabilities of ruin are solutions of differential or integrodifferential equations. Solving such equations numerically can be performed by means of approximate quadrature formulae for the convolution part of the equation. In this contribution it is shown how applicable recursion formulae, giving results within a prescribed tolerance level, can be obtained. Some numerical results are displayed.

Keywords

Ruin probabilitynumerical analysisordering of risks
Type
Research Article
Information
ASTIN Bulletin: The Journal of the IAA , Volume 14 , Issue 1 , April 1984 , pp. 53 - 59
Copyright
Copyright © International Actuarial Association 1984

References

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